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Tag Archives: Volatility

VIX Recently Has Been “High” (vs. SPX Historic Volatility) By Matt Moran

Matt Moran
Vice President
CBOE
February 11 - 8:24 pm
Comments: 0

Over the past year, and particularly at times when the CBOE Volatility Index® (VIX®) was below 15, several people have asked me questions such as – Why is the VIX so low? Shouldn’t the VIX be at higher levels, particularly in light of worldwide uncertainties and volatility? An argument could be made that VIX recently [...]

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Introducing the CBOE Low Volatility Index (LOVOL)

Matt Moran
Vice President
CBOE
November 29 - 8:42 pm
Comments: 0

Nov. 29, 2012 - Today CBOE introduced the new CBOE Low Volatility IndexSM (ticker: LOVOL), a benchmark index designed for investors whose preferences have shifted from investing in riskier assets to lower-volatility assets. The LOVOL Index aims to provide investors with the ability to replicate an investment strategy that is subject to less downside volatility in a [...]

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Consumer Sentiment Index Reaches 5-Year High

Matt Moran
Vice President
CBOE
November 12 - 11:34 pm
Comments: 0

A Bloomberg news story on Friday Nov. 9th noted – “Confidence among U.S. consumers climbed to a five-year high in November, improving the prospects of bigger spending gains that will help spur the expansion.  The Thomson Reuters/University of Michigan preliminary consumer sentiment index rose to 84.9, the fourth straight increase and the highest since July [...]

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Trading VIX – Trade-off between Liquidity, Beta Exposure and Roll Cost

Xiaowei Kang
Director
S&P Dow Jones Indices
October 23 - 2:18 pm
Comments: 0

Besides commodities, volatility is another example of the application of futures-based indices. Spot volatility, as measured by the VIX, is not tradeable as the index represents the weighted average of implied volatilities of various options on the S&P 500. Prior to the introduction of VIX futures on the Chicago Board Options Exchange in 2004, equity [...]

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Q&A on VIX from CBOE Webcast

Russell Rhoads
Instructor
CBOE
September 12 - 9:54 am
Comments: 0

Yesterday I hosted a webcast for CBOE on trading exchange traded products that base their performance on VIX strategies.  During the webcast Barb and I fielded several very good questions regarding VIX.  A few highlights are below – Can you comment on the recent relatively low level of VIX? VIX has been under 20 and [...]

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Technical Outlook: VIX Showing Complacency. Really?

Mark Arbeter
Chief Technical Strategist
S&P Capital IQ Equity Research
September 5 - 3:30 pm
Comments: 1

We find it amazing how many times the markets, the media, and many, many analysts are always waiting for that next crucial data point. And when that “important” data point or speech finally arrives, it turns out so many times to be a non-event. When the news is bad, but the market rallies, the spinsters [...]

Posted in Performance, VIX, Volatility | Also tagged , | 1 Comment

Low-cost Protection — One Year After VIX Peak

Matt Moran
Vice President
CBOE
August 9 - 2:05 pm
Comments: 0

AUG. 9, 2012 — A year ago, on August 8, 2011, the CBOE Volatility Index® (VIX®) closed at 48.00, its highest closing value since March 9, 2009. Yesterday, on August 8, 2012, the VIX closed at 15.32 (a level that was 68% lower than the year-earlier level). Yesterday Reuters published an article is entitled “Time [...]

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Apple Earnings Fall Short, as VXAPL Index Closes at 34.34

Matt Moran
Vice President
CBOE
July 24 - 6:58 pm
Comments: 0

Tuesday, July 24  -  Apple, Inc. announced its quarterly earnings today.  Bloomberg news noted – “Apple Inc. (AAPL)’s profit and sales fell short of analysts’ projections for only the second time since 2003 as customers held off on iPhone purchases while waiting for a new model to be introduced later in the year.  …   The [...]

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“Drought” Options – Implied Vol Up 50% This Month

Matt Moran
Vice President
CBOE
July 20 - 3:56 pm
Comments: 0

A recent Reuters news report indicated that “Grain prices pushed to record highs on Thursday as scattered rains in U.S. Midwest did little to douse fears that the worst drought in half a century will not end soon or relieve worries around the world about higher food prices.  Government forecasters did not rule out that [...]

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VXEEM Y-T-D Futures Volume Tops 41,000

Matt Moran
Vice President
CBOE
July 19 - 6:33 pm
Comments: 0

Some investors have asked us about managing exposure with products based on volatility indexes in addition to the well- known CBOE Volatility Index® (VIX®) www.cboe.com/VIX Trading volume in CBOE Emerging Markets ETF Volatility Index (VXEEM) security futures totaled 8,870 contracts during June 2012, and is more than 41,000 year-to-date.  The VXEEM Index tracks the implied [...]

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